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Report NEP-MST-2019-12-09
This is the archive for NEP-MST, a report on new working papers in the area of Market Microstructure. Thanos Verousis issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- David Batista Soares & Alain Bretto & Joël Priolon, 2019, "Efficiency and volatility of spot and futures agricultural markets: Impact of trade frequencies
[Efficience et volatilité des marchés agricoles spot et à termes: L'impact de la fréquence des transactions]," Working Papers, HAL, number hal-02364549, Nov. - Alex S. L. Tse & Harry Zheng, 2019, "Speculative Trading, Prospect Theory and Transaction Costs," Papers, arXiv.org, number 1911.10106, Nov, revised Oct 2022.
- Jin, Muzhao & Kearney, Fearghal & Li, Youwei & Yang, Yung Chiang, 2019, "Intraday Time-series Momentum: Evidence from China," MPRA Paper, University Library of Munich, Germany, number 97134.
- Zihao Zhang & Stefan Zohren & Stephen Roberts, 2019, "Deep Reinforcement Learning for Trading," Papers, arXiv.org, number 1911.10107, Nov.